Calamos Long/Short Equity & Dynamic Income Trust
SCHEDULE OF INVESTMENTS JULY 31, 2020 (UNAUDITED)
| PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| CORPORATE BONDS (32.7%) | ||||||||||
| Airlines (0.2%) | ||||||||||
| 6,008 | Air Canada Pass Through Trust Series 2013-1, Class B* 5.375%, 11/15/22 | $ | 5,399 | |||||||
| 62,666 | Air Canada Pass Through Trust Series 2015-2, Class B* 5.000%, 06/15/25 | 51,845 | ||||||||
| 225,000 | Alaska Airlines Pass Through Trust Series 2020-1, Class A*µ 4.800%, 02/15/29 | 233,466 | ||||||||
| 174,000 | Alaska Airlines Pass Through Trust Series 2020-1, Class B*µ 8.000%, 02/15/27 | 179,975 | ||||||||
| 72,315 | Continental Airlines Pass Through Trust Series 2010-1, Class Aµ 4.750%, 07/12/22 | 70,189 | ||||||||
| 212,020 | United Airlines Pass Through Trust Series 2014-2, Class B 4.625%, 03/03/24 | 190,034 | ||||||||
| 119,000 | United Airlines Pass Through Trust Series 2019-2, Class Bµ 3.500%, 11/01/29 | 83,489 | ||||||||
|
| |||||||||
| 814,397 | ||||||||||
|
| |||||||||
| Communication Services (3.4%) | ||||||||||
| 345,000 | Altice France, SA* 7.375%, 05/01/26 | 368,149 | ||||||||
| 310,000 | Arrow Bidco, LLC* 9.500%, 03/15/24 | 245,196 | ||||||||
| 200,000 | Ashtead Capital, Inc.*µ 4.000%, 05/01/28 | 208,667 | ||||||||
| 140,000 | Brink’s Company*µ 5.500%, 07/15/25 | 149,066 | ||||||||
CenturyLink, Inc.* | ||||||||||
| 385,000 | 4.000%, 02/15/27µ | 403,159 | ||||||||
| 85,000 | 5.125%, 12/15/26^ | 89,289 | ||||||||
| 550,000 | Cincinnati Bell, Inc.*^ 8.000%, 10/15/25 | 583,806 | ||||||||
CSC Holdings, LLC* | ||||||||||
| 500,000 | 6.625%, 10/15/25µ | 523,472 | ||||||||
| 200,000 | 5.750%, 01/15/30 | 222,243 | ||||||||
| 840,000 | Cumulus Media New Holdings, Inc.* 6.750%, 07/01/26 | 764,043 | ||||||||
| 280,000 | Diamond Sports Group, LLC / Diamond Sports Finance Company*µ^ 5.375%, 08/15/26 | 215,116 | ||||||||
| 1,165,000 | Embarq Corp.µ 7.995%, 06/01/36 | 1,380,513 | ||||||||
Entercom Media Corp.* | ||||||||||
| 306,000 | 6.500%, 05/01/27^ | 275,501 | ||||||||
| 193,000 | 7.250%, 11/01/24 | 161,683 | ||||||||
Frontier Communications Corp.*@ | ||||||||||
| 700,000 | 8.000%, 04/01/27 | 723,453 | ||||||||
| 295,000 | 8.500%, 04/01/26 | 291,149 | ||||||||
| 407,000 | Hughes Satellite Systems Corp. 6.625%, 08/01/26 | 453,931 | ||||||||
| 285,000 | iHeartCommunications, Inc.^ 8.375%, 05/01/27 | 283,575 | ||||||||
| 335,000 | Intelsat Jackson Holdings, SA*@ 9.750%, 07/15/25 | 223,636 | ||||||||
| PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| 290,000 | LCPR Senior Secured Financing DAC* 6.750%, 10/15/27 | $ | 312,884 | |||||||
| 500,000 | Netflix, Inc.* 4.875%, 06/15/30 | 588,965 | ||||||||
| 500,000 | Scripps Escrow, Inc.* 5.875%, 07/15/27 | 502,362 | ||||||||
| 1,425,000 | Sprint Corp. 7.125%, 06/15/24 | 1,665,654 | ||||||||
Telesat Canada / Telesat, LLC* | ||||||||||
| 290,000 | 4.875%, 06/01/27 | 296,093 | ||||||||
| 85,000 | 6.500%, 10/15/27 | 87,576 | ||||||||
| 455,000 | United States Cellular Corp. 6.700%, 12/15/33 | 569,387 | ||||||||
| 395,000 | Vodafone Group, PLC^‡ 7.000%, 04/04/79 U.S. 5 yr Swap + 4.87% | 472,710 | ||||||||
|
| |||||||||
| 12,061,278 | ||||||||||
|
| |||||||||
| Consumer Discretionary (3.6%) | ||||||||||
| 96,000 | American Axle & Manufacturing, Inc. 6.875%, 07/01/28 | 98,100 | ||||||||
Ashton Woods USA, LLC / Ashton Woods Finance Company* | ||||||||||
| 394,000 | 6.625%, 01/15/28 | 397,633 | ||||||||
| 124,000 | 9.875%, 04/01/27 | 135,003 | ||||||||
| 330,000 | Caesars Resort Collection, LLC / CRC Finco, Inc.* 5.250%, 10/15/25 | 298,015 | ||||||||
| 98,000 | Carnival Corp.*^ 10.500%, 02/01/26 | 101,604 | ||||||||
CCO Holdings, LLC / CCO Holdings Capital Corp.* | ||||||||||
| 750,000 | 4.750%, 03/01/30 | 802,399 | ||||||||
| 250,000 | 4.500%, 08/15/30 | 265,600 | ||||||||
| 230,000 | 5.750%, 02/15/26 | 241,316 | ||||||||
| 96,000 | 4.250%, 02/01/31^ | 100,791 | ||||||||
| 475,000 | Century Communities, Inc. 6.750%, 06/01/27 | 508,801 | ||||||||
| 465,000 | Dana Financing Luxembourg Sarl*^ 6.500%, 06/01/26 | 490,387 | ||||||||
DISH DBS Corp. | ||||||||||
| 347,000 | 7.750%, 07/01/26^ | 390,175 | ||||||||
| 50,000 | 7.375%, 07/01/28* | 53,125 | ||||||||
| 285,000 | ESH Hospitality, Inc.* 4.625%, 10/01/27 | 274,845 | ||||||||
Expedia Group, Inc.*µ | ||||||||||
| 115,000 | 7.000%, 05/01/25 | 124,121 | ||||||||
| 70,000 | 6.250%, 05/01/25^ | 76,611 | ||||||||
| 120,000 | Ford Motor Companyµ 8.500%, 04/21/23 | 133,292 | ||||||||
Ford Motor Credit Company, LLC | ||||||||||
| 715,000 | 4.134%, 08/04/25 | 733,443 | ||||||||
| 200,000 | 4.389%, 01/08/26 | 205,608 | ||||||||
| 210,000 | G-III Apparel Group, Ltd.* 7.875%, 08/15/25 | 211,869 | ||||||||
| 48,000 | Gap, Inc.*^ 8.875%, 05/15/27 | 53,810 | ||||||||
| 395,000 | General Motors Financial Company, Inc.µ‡ 6.500%, 09/30/28 3 mo. USD LIBOR + 3.44% | 384,015 | ||||||||
See accompanying Notes to Schedule of Investments
1
Long/Short Equity & Dynamic Income Trust
SCHEDULE OF INVESTMENTS JULY 31, 2020 (UNAUDITED)
| PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| 500,000 | goeasy, Ltd.*µ^ 5.375%, 12/01/24 | $ | 519,060 | |||||||
| 440,000 | Guitar Center, Inc.* 9.500%, 10/15/21 | 310,915 | ||||||||
| 280,000 | Installed Building Products, Inc.* 5.750%, 02/01/28 | 297,630 | ||||||||
L Brands, Inc. | ||||||||||
| 292,000 | 6.875%, 11/01/35 | 280,104 | ||||||||
| 98,000 | 9.375%, 07/01/25* | 109,361 | ||||||||
| 50,000 | 6.875%, 07/01/25*µ | 53,903 | ||||||||
| 48,000 | 6.694%, 01/15/27 | 46,724 | ||||||||
M/I Homes, Inc. | ||||||||||
| 275,000 | 5.625%, 08/01/25 | 285,544 | ||||||||
| 130,000 | 4.950%, 02/01/28 | 134,271 | ||||||||
| 250,000 | Macy’s Retail Holdings, LLC^ 3.875%, 01/15/22 | 235,206 | ||||||||
| 93,000 | Macy’s, Inc.*^ 8.375%, 06/15/25 | 97,376 | ||||||||
| 830,000 | Mattel, Inc.*^ 5.875%, 12/15/27 | 893,653 | ||||||||
| 300,000 | Mclaren Finance, PLC* 5.750%, 08/01/22 | 246,330 | ||||||||
| 235,000 | Meredith Corp.*µ 6.500%, 07/01/25 | 240,295 | ||||||||
Newell Brands, Inc. | ||||||||||
| 278,000 | 4.700%, 04/01/26 | 301,713 | ||||||||
| 48,000 | 4.875%, 06/01/25 | 52,262 | ||||||||
| 290,000 | PetSmart, Inc.* 5.875%, 06/01/25 | 298,728 | ||||||||
| 328,000 | Rite Aid Corp.* 8.000%, 11/15/26 | 338,627 | ||||||||
Royal Caribbean Cruises, Ltd.* | ||||||||||
| 100,000 | 11.500%, 06/01/25^ | 110,300 | ||||||||
| 51,000 | 10.875%, 06/01/23µ | 53,847 | ||||||||
| 505,000 | Speedway Motorsports, LLC / Speedway Funding II, Inc.* 4.875%, 11/01/27 | 460,838 | ||||||||
| 270,000 | Taylor Morrison Communities, Inc.* 5.750%, 01/15/28 | 303,461 | ||||||||
| 610,000 | Twin River Worldwide Holdings, Inc.* 6.750%, 06/01/27 | 594,039 | ||||||||
| 50,000 | Viking Cruises, Ltd.* 13.000%, 05/15/25 | 54,515 | ||||||||
| 280,000 | VOC Escrow, Ltd.*^ 5.000%, 02/15/28 | 228,564 | ||||||||
|
| |||||||||
| 12,627,829 | ||||||||||
|
| |||||||||
| Consumer Staples (0.8%) | ||||||||||
| 95,000 | Edgewell Personal Care Company*µ 5.500%, 06/01/28 | 102,980 | ||||||||
| 180,000 | Energizer Holdings, Inc.* 6.375%, 07/15/26 | 192,389 | ||||||||
| 755,000 | JBS USA LUX, SA / JBS USA Finance, Inc.* 5.875%, 07/15/24 | 771,157 | ||||||||
Kraft Heinz Foods Company* | ||||||||||
| 48,000 | 4.250%, 03/01/31µ | 52,997 | ||||||||
| 48,000 | 3.875%, 05/15/27 | 51,784 | ||||||||
| 395,000 | Land O’Lakes, Inc.*µ 7.000%, 09/18/28 | 354,366 | ||||||||
| 475,000 | Post Holdings, Inc.* 5.500%, 12/15/29 | 521,887 | ||||||||
| PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| 615,000 | Vector Group, Ltd.* 6.125%, 02/01/25 | $ | 611,421 | |||||||
|
| |||||||||
| 2,658,981 | ||||||||||
|
| |||||||||
| Energy (2.6%) | ||||||||||
| 95,000 | Apache Corp.µ 5.100%, 09/01/40 | 92,514 | ||||||||
Buckeye Partners, LP | ||||||||||
| 550,000 | 3.950%, 12/01/26 | 551,829 | ||||||||
| 460,000 | 5.850%, 11/15/43^ | 423,948 | ||||||||
| 500,000 | California Resources Corp.*@ 8.000%, 12/15/22 | 11,548 | ||||||||
| 415,000 | ChampionX Corp. 6.375%, 05/01/26 | 389,594 | ||||||||
Continental Resources, Inc. | ||||||||||
| 190,000 | 3.800%, 06/01/24 | 184,357 | ||||||||
| 145,000 | 4.375%, 01/15/28^ | 135,629 | ||||||||
| 475,000 | DCP Midstream Operating, LP*‡ 5.850%, 05/21/43 3 mo. USD LIBOR + 3.85% | 365,942 | ||||||||
| 200,000 | eG Global Finance, PLC* 6.750%, 02/07/25 | 209,460 | ||||||||
EnLink Midstream Partners, LP | ||||||||||
| 835,000 | 6.000%, 12/15/22‡ 3 mo. USD LIBOR + 4.11% | 319,425 | ||||||||
| 205,000 | 4.850%, 07/15/26 | 159,352 | ||||||||
| 805,000 | Enterprise Products Operating, LLCµ‡ 5.250%, 08/16/77 3 mo. USD LIBOR + 3.03% | 755,561 | ||||||||
EQT Corp. | ||||||||||
| 465,000 | 8.750%, 02/01/30µ | 539,539 | ||||||||
| 75,000 | 7.875%, 02/01/25^ | 82,487 | ||||||||
| 43,000 | Holly Energy Partners, LP / Holly Energy Finance Corp.* 5.000%, 02/01/28 | 42,435 | ||||||||
| 153,000 | Laredo Petroleum, Inc.^ 10.125%, 01/15/28 | 108,490 | ||||||||
| 645,000 | Magnolia Oil & Gas Operating, LLC / Magnolia Oil & Gas Finance Corp.*^ 6.000%, 08/01/26 | 622,248 | ||||||||
| 425,000 | MPLX, LPµ‡ 6.875%, 02/15/23 3 mo. USD LIBOR + 4.65% | 372,880 | ||||||||
| 300,000 | Murphy Oil Corp. 5.875%, 12/01/27 | 276,315 | ||||||||
Occidental Petroleum Corp. | ||||||||||
| 525,000 | 4.300%, 08/15/39^ | 426,725 | ||||||||
| 397,000 | 2.700%, 08/15/22 | 384,510 | ||||||||
| 382,000 | 2.900%, 08/15/24 | 360,264 | ||||||||
| 220,000 | Par Petroleum, LLC / Par Petroleum Finance Corp.* 7.750%, 12/15/25 | 188,933 | ||||||||
| 85,000 | Parsley Energy, LLC / Parsley Finance Corp.*^ 5.250%, 08/15/25 | 87,328 | ||||||||
| 790,000 | Plains All American Pipeline, LP‡ 6.125%, 11/15/22 3 mo. USD LIBOR + 4.11% | 553,837 | ||||||||
| 790,000 | Transcanada Trustµ‡ 5.300%, 03/15/77 3 mo. USD LIBOR + 3.21% | 794,953 | ||||||||
| 85,000 | Transocean, Inc.* 8.000%, 02/01/27 | 41,613 | ||||||||
See accompanying Notes to Schedule of Investments
2
Long/Short Equity & Dynamic Income Trust
SCHEDULE OF INVESTMENTS JULY 31, 2020 (UNAUDITED)
| PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| 280,000 | Viper Energy Partners, LP* 5.375%, 11/01/27 | $ | 291,386 | |||||||
| 545,000 | W&T Offshore, Inc.* 9.750%, 11/01/23 | 363,657 | ||||||||
| 47,000 | WPX Energy, Inc.^ 5.875%, 06/15/28 | 48,041 | ||||||||
|
| |||||||||
| 9,184,800 | ||||||||||
|
| |||||||||
| Financials (13.8%) | ||||||||||
| 651,000 | Acrisure, LLC / Acrisure Finance, Inc.* 7.000%, 11/15/25 | 657,923 | ||||||||
| 216,000 | AG Issuer, LLC* 6.250%, 03/01/28 | 218,965 | ||||||||
| 875,000 | Alliant Holdings Intermediate, LLC / Alliant Holdings Co-Issuer* 6.750%, 10/15/27 | 929,552 | ||||||||
| 790,000 | American International Group, Inc.µ^‡ 5.750%, 04/01/48 3 mo. USD LIBOR + 2.87% | 858,367 | ||||||||
| 650,000 | Amwins Group, Inc.* 7.750%, 07/01/26 | 716,261 | ||||||||
| 710,000 | AssuredPartners, Inc.* 7.000%, 08/15/25 | 725,038 | ||||||||
Aviation Capital Group, LLC*µ | ||||||||||
| 163,000 | 3.500%, 11/01/27 | 146,420 | ||||||||
| 98,000 | 3.875%, 05/01/23 | 96,237 | ||||||||
| 45,000 | 6.750%, 04/06/21 | 45,923 | ||||||||
| 1,825,000 | Bank of America Corp.^‡ 4.300%, 01/28/25 3 mo. USD LIBOR + 2.66% | 1,728,813 | ||||||||
| 690,000 | Bank of Montreal^‡ 4.800%, 08/25/24 5 year CMT + 2.98% | 692,056 | ||||||||
| 1,250,000 | Bank of New York Mellon Corp.µ‡ 4.700%, 09/20/25 5 year CMT + 4.36% | 1,350,138 | ||||||||
| 1,250,000 | Bank of Nova Scotiaµ^‡ 4.900%, 06/04/25 5 year CMT + 4.55% | 1,281,463 | ||||||||
| 215,000 | Bank OZK‡ 5.500%, 07/01/26 3 mo. USD LIBOR + 4.43% | 215,703 | ||||||||
| 600,000 | Barclays, PLC‡ 7.875%, 03/15/22 U.S. 5 yr Swap + 6.77% | 617,595 | ||||||||
| 380,000 | BP Capital Markets, PLCµ‡ 4.875%, 03/22/30 5 year CMT + 4.40% | 408,150 | ||||||||
| 855,000 | Brookfield Property REIT, Inc. / BPR Cumulus, LLC / BPR Nimbus, LLC / GGSI Sellco, LLC*^ 5.750%, 05/15/26 | 709,394 | ||||||||
Charles Schwab Corp.µ‡ | ||||||||||
| 765,000 | 5.375%, 06/01/25^ 5 year CMT + 4.97% | 840,379 | ||||||||
| 400,000 | 5.000%, 12/01/27 3 mo. USD LIBOR + 2.58% | 410,474 | ||||||||
| 792,000 | CIT Group, Inc.‡ 5.800%, 06/15/22 3 mo. USD LIBOR + 3.97% | 621,443 | ||||||||
Citigroup, Inc.‡ | ||||||||||
| 2,630,000 | 5.000%, 09/12/24 SOFR + 3.81% | 2,636,338 | ||||||||
| PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| 225,000 | 4.700%, 01/30/25 SOFR + 3.23% | $ | 216,549 | |||||||
Credit Acceptance Corp. | ||||||||||
| 475,000 | 6.625%, 03/15/26 | 500,460 | ||||||||
| 161,000 | 5.125%, 12/31/24* | 163,962 | ||||||||
| 565,000 | Credit Suisse Group, AG*‡ 7.500%, 12/11/23 U.S. 5 yr Swap + 4.60% | 621,788 | ||||||||
| 60,000 | Cushman & Wakefield US Borrower, LLC*µ 6.750%, 05/15/28 | 64,327 | ||||||||
Discover Financial Servicesµ‡ | ||||||||||
| 425,000 | 5.500%, 10/30/27 3 mo. USD LIBOR + 3.08% | 397,792 | ||||||||
| 380,000 | 6.125%, 06/23/25 5 year CMT + 5.78% | 404,326 | ||||||||
| 500,000 | Donnelley Financial Solutions, Inc. 8.250%, 10/15/24 | 507,285 | ||||||||
| 1,700,000 | Fifth Third Bancorpµ‡ 4.500%, 09/30/25 5 year CMT + 4.22% | 1,733,320 | ||||||||
| 253,000 | Global Aircraft Leasing Company, Ltd.* 6.500%, 09/15/24 7.250% PIK rate | 157,814 | ||||||||
| 1,570,000 | Goldman Sachs Group, Inc.µ‡ 4.400%, 02/10/25 5 year CMT + 2.85% | 1,485,314 | ||||||||
| 427,000 | Greystar Real Estate Partners, LLC* 5.750%, 12/01/25 | 434,103 | ||||||||
| 50,000 | HAT Holdings I, LLC / HAT Holdings II, LLC*µ 6.000%, 04/15/25 | 53,859 | ||||||||
| 910,000 | HUB International, Ltd.*^ 7.000%, 05/01/26 | 953,926 | ||||||||
Huntington Bancshares, Inc.µ‡ | ||||||||||
| 375,000 | 5.625%, 07/15/30 10 year CMT + 4.95% | 414,161 | ||||||||
| 220,000 | 5.700%, 04/15/23 3 mo. USD LIBOR + 2.88% | 204,666 | ||||||||
| 430,000 | Icahn Enterprises, LP / Icahn Enterprises Finance Corp.^ 5.250%, 05/15/27 | 453,312 | ||||||||
| 300,000 | ILFC E-Capital Trust II*µ‡ 3.270%, 12/21/65 3 mo. USD LIBOR + 1.80% | 155,216 | ||||||||
| 485,000 | Iron Mountain, Inc.*µ 5.250%, 03/15/28 | 510,108 | ||||||||
Jefferies Finance, LLC / JFIN Co- Issuer Corp.* | ||||||||||
| 700,000 | 7.250%, 08/15/24 | 647,584 | ||||||||
| 490,000 | 6.250%, 06/03/26µ | 497,024 | ||||||||
| 2,745,000 | JPMorgan Chase & Companyµ‡ 4.600%, 02/01/25 SOFR + 3.13% | 2,671,832 | ||||||||
| 501,000 | KeyCorpµ‡ 5.000%, 09/15/26 3 mo. USD LIBOR + 3.61% | 496,238 | ||||||||
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp.* | ||||||||||
| 424,000 | 5.250%, 10/01/25 | 386,747 | ||||||||
| 43,000 | 4.250%, 02/01/27 | 36,377 | ||||||||
| 575,000 | Lloyds Banking Group, PLC‡ 7.500%, 06/27/24 U.S. 5 yr Swap + 4.76% | 608,316 | ||||||||
See accompanying Notes to Schedule of Investments
3
Long/Short Equity & Dynamic Income Trust
SCHEDULE OF INVESTMENTS JULY 31, 2020 (UNAUDITED)
| PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| 760,000 | Markel Corp.µ‡ 6.000%, 06/01/25 5 year CMT + 5.66% | $ | 801,564 | |||||||
| 1,340,000 | MetLife, Inc.µ 6.400%, 12/15/66 | 1,655,838 | ||||||||
| 380,000 | Nationwide Financial Services, Inc.�� 6.750%, 05/15/87 | 454,835 | ||||||||
Navient Corp. | ||||||||||
| 622,000 | 5.000%, 03/15/27 | 596,336 | ||||||||
| 215,000 | 6.750%, 06/25/25^ | 225,235 | ||||||||
| 580,000 | Nordea Bank Abp*µ‡ 6.625%, 03/26/26 5 year CMT + 4.11% | 631,832 | ||||||||
| 75,000 | OneMain Finance Corp.^ 8.875%, 06/01/25 | 84,909 | ||||||||
| 113,000 | Park Intermediate Holdings, LLC / PK Domestic Property, LLC / PK Finance Co-Issuer*^ 7.500%, 06/01/25 | 120,382 | ||||||||
| 147,000 | PNC Financial Services Group, Inc.µ‡ 6.750%, 08/01/21 3 mo. USD LIBOR + 3.68% | 149,905 | ||||||||
| 1,725,000 | Principal Financial Group, Inc.µ^‡ 3.436%, 05/15/55 3 mo. USD LIBOR + 3.04% | 1,574,580 | ||||||||
| 1,265,000 | Progressive Corp.µ^‡ 5.375%, 03/15/23 3 mo. USD LIBOR + 2.54% | 1,276,277 | ||||||||
| 560,000 | Prudential Financial, Inc.^‡ 5.700%, 09/15/48 3 mo. USD LIBOR + 2.67% | 662,530 | ||||||||
| 500,000 | QBE Insurance Group, Ltd.*^‡ 5.875%, 05/12/25 5 year CMT + 5.51% | 523,805 | ||||||||
| 2,530,000 | State Street Corp.^‡ 5.625%, 12/15/23 3 mo. USD LIBOR + 2.54% | 2,530,645 | ||||||||
| 98,000 | StoneX Group, Inc.* 8.625%, 06/15/25 | 105,256 | ||||||||
| 165,000 | Tronox Finance, PLC*^ 5.750%, 10/01/25 | 164,905 | ||||||||
Truist Financial Corp.µ‡ | ||||||||||
| 1,280,000 | 4.800%, 09/01/24 5 year CMT + 3.00% | 1,282,720 | ||||||||
| 375,000 | 4.950%, 09/01/25 5 year CMT + 4.61% | 400,350 | ||||||||
| 575,000 | UBS Group, AG*^‡ 7.000%, 01/31/24 U.S. 5 yr Swap + 4.34% | 614,730 | ||||||||
| 2,370,000 | US Bancorpµ^‡ 5.300%, 04/15/27 3 mo. USD LIBOR + 2.91% | 2,477,349 | ||||||||
VICI Properties, LP / VICI Note Company, Inc.* | ||||||||||
| 285,000 | 4.625%, 12/01/29 | 300,131 | ||||||||
| 172,000 | 3.750%, 02/15/27 | 173,519 | ||||||||
| 86,000 | 4.125%, 08/15/30 | 87,133 | ||||||||
| 790,000 | Voya Financial, Inc.‡ 6.125%, 09/15/23 5 year CMT + 3.36% | 810,137 | ||||||||
|
| |||||||||
| 48,387,941 | ||||||||||
|
| |||||||||
| PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| Health Care (1.8%) | ||||||||||
| 500,000 | Acadia Healthcare Company, Inc. 5.625%, 02/15/23 | $ | 508,392 | |||||||
| 515,000 | Bausch Health Companies, Inc.* 5.000%, 01/30/28 | 518,484 | ||||||||
CHS/Community Health Systems, Inc. | ||||||||||
| 875,000 | 8.125%, 06/30/24*^ | 559,965 | ||||||||
| 610,000 | 8.000%, 03/15/26* | 625,104 | ||||||||
| 295,000 | 6.250%, 03/31/23 | 298,752 | ||||||||
| 241,000 | DaVita, Inc.*^ 4.625%, 06/01/30 | 257,164 | ||||||||
Encompass Health Corp. | ||||||||||
| 100,000 | 4.750%, 02/01/30 | 105,931 | ||||||||
| 100,000 | 4.500%, 02/01/28 | 105,797 | ||||||||
Tenet Healthcare Corp. | ||||||||||
| 835,000 | 6.875%, 11/15/31 | 804,602 | ||||||||
| 480,000 | 5.125%, 11/01/27* | 510,521 | ||||||||
| 1,250,000 | Teva Pharmaceutical Finance Netherlands III, BV 2.800%, 07/21/23 | 1,215,762 | ||||||||
| 860,000 | West Street Merger Sub, Inc.* 6.375%, 09/01/25 | 873,605 | ||||||||
|
| |||||||||
| 6,384,079 | ||||||||||
|
| |||||||||
| Industrials (3.6%) | ||||||||||
| 240,000 | Abercrombie & Fitch Management Company* 8.750%, 07/15/25 | 240,185 | ||||||||
Albertsons Companies, Inc. / Safeway, Inc. / New Albertsons, LP / Albertsons, LLC | ||||||||||
| 490,000 | 5.750%, 03/15/25 | 507,449 | ||||||||
| 215,000 | 4.625%, 01/15/27* | 228,857 | ||||||||
| 127,000 | 4.875%, 02/15/30*^ | 137,196 | ||||||||
| 275,000 | Allison Transmission, Inc.*µ 5.875%, 06/01/29 | 304,414 | ||||||||
American Airlines Group, Inc.* | ||||||||||
| 200,000 | 5.000%, 06/01/22 | 111,919 | ||||||||
| 150,000 | 3.750%, 03/01/25^ | 66,749 | ||||||||
| 940,000 | ARD Finance, SA* 6.500%, 06/30/27 7.250% PIK rate | 962,499 | ||||||||
| 88,000 | Avolon Holdings Funding, Ltd.*µ 2.875%, 02/15/25 | 75,732 | ||||||||
| 525,000 | Beacon Roofing Supply, Inc.* 4.875%, 11/01/25 | 515,537 | ||||||||
| 635,000 | Cascades, Inc. /Cascades USA, Inc.*µ 5.125%, 01/15/26 | 657,850 | ||||||||
Colt Merger Sub, Inc.* | ||||||||||
| 93,000 | 8.125%, 07/01/27 | 95,093 | ||||||||
| 93,000 | 6.250%, 07/01/25 | 97,522 | ||||||||
| 475,000 | Covanta Holding Corp.^ 6.000%, 01/01/27 | 496,864 | ||||||||
| 575,000 | Delphi Technologies, PLC* 5.000%, 10/01/25 | 636,045 | ||||||||
Delta Air Lines, Inc.µ | ||||||||||
| 49,000 | 3.800%, 04/19/23 | 45,781 | ||||||||
| 47,000 | 7.375%, 01/15/26 | 46,668 | ||||||||
| 85,000 | EnerSys*µ 4.375%, 12/15/27 | 86,117 | ||||||||
| 501,000 | Fly Leasing, Ltd.^ 5.250%, 10/15/24 | 408,453 | ||||||||
See accompanying Notes to Schedule of Investments
4
Long/Short Equity & Dynamic Income Trust
SCHEDULE OF INVESTMENTS JULY 31, 2020 (UNAUDITED)
| PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| 790,000 | General Electric Companyµ^‡ 5.000%, 01/21/21 3 mo. USD LIBOR + 3.33% | $ | 627,177 | |||||||
| 610,000 | Golden Nugget, Inc.*^ 8.750%, 10/01/25 | 320,284 | ||||||||
| 108,000 | GPC Merger Sub, Inc.* 7.125%, 08/15/28 | 112,590 | ||||||||
| 475,000 | Herc Holdings, Inc.* 5.500%, 07/15/27 | 504,250 | ||||||||
| 82,000 | Howmet Aerospace, Inc.µ 6.875%, 05/01/25 | 93,018 | ||||||||
| 290,000 | Jeld-Wen, Inc.* 4.625%, 12/15/25 | 294,560 | ||||||||
| 10,000 | KeHE Distributors, LLC / KeHE Finance Corp.* 8.625%, 10/15/26 | 10,813 | ||||||||
| 96,000 | MasTec, Inc.* 4.500%, 08/15/28 | 100,407 | ||||||||
| 107,000 | Moog, Inc.*µ^ 4.250%, 12/15/27 | 109,313 | ||||||||
| 430,000 | Nationstar Mortgage Holdings, Inc.* 6.000%, 01/15/27 | 444,343 | ||||||||
Navistar International Corp.* | ||||||||||
| 175,000 | 6.625%, 11/01/25 | 179,607 | ||||||||
| 95,000 | 9.500%, 05/01/25^ | 108,608 | ||||||||
| 172,000 | Novelis Corp.* 4.750%, 01/30/30 | 179,907 | ||||||||
| 300,000 | Park-Ohio Industries, Inc.^ 6.625%, 04/15/27 | 264,150 | ||||||||
| 275,000 | Patrick Industries, Inc.* 7.500%, 10/15/27 | 293,692 | ||||||||
| 47,000 | Picasso Finance Sub, Inc.*^ 6.125%, 06/15/25 | 50,215 | ||||||||
Standard Industries, Inc.* | ||||||||||
| 100,000 | 5.000%, 02/15/27 | 107,127 | ||||||||
| 47,000 | 4.375%, 07/15/30 | 50,831 | ||||||||
| 315,000 | Stanley Black & Decker, Inc.µ^‡ 4.000%, 03/15/60 5 year CMT + 2.66% | 329,019 | ||||||||
Station Casinos, LLC*^ | ||||||||||
| 500,000 | 5.000%, 10/01/25 | 474,392 | ||||||||
| 450,000 | 4.500%, 02/15/28 | 403,382 | ||||||||
TransDigm, Inc. | ||||||||||
| 655,000 | 7.500%, 03/15/27 | 669,191 | ||||||||
| 465,000 | 6.250%, 03/15/26* | 491,191 | ||||||||
| 48,000 | United Rentals North America, Inc. 3.875%, 02/15/31 | 48,000 | ||||||||
| 280,000 | Waste Pro USA, Inc.* 5.500%, 02/15/26 | 287,038 | ||||||||
WESCO Distribution, Inc.* | ||||||||||
| 93,000 | 7.125%, 06/15/25 | 102,290 | ||||||||
| 45,000 | 7.250%, 06/15/28^ | 49,241 | ||||||||
| 48,000 | WR Grace & Co-Conn*^ 4.875%, 06/15/27 | 51,178 | ||||||||
|
| |||||||||
| 12,476,744 | ||||||||||
|
| |||||||||
| Information Technology (0.4%) | ||||||||||
| 345,000 | CommScope Technologies, LLC* 6.000%, 06/15/25 | 353,092 | ||||||||
Dell International, LLC / EMC Corp.*µ | ||||||||||
| 155,000 | 6.100%, 07/15/27 | 183,343 | ||||||||
| 80,000 | 5.850%, 07/15/25 | 93,562 | ||||||||
| PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| 56,000 | Fair Isaac Corp.* 4.000%, 06/15/28 | $ | 58,635 | |||||||
| 275,000 | MTS Systems Corp.* 5.750%, 08/15/27 | 267,773 | ||||||||
| 129,000 | Open Text Corp.* 3.875%, 02/15/28 | 134,886 | ||||||||
| 118,000 | PTC, Inc.* 4.000%, 02/15/28 | 124,046 | ||||||||
| 250,000 | Vericast Corp.*^ 8.375%, 08/15/22 | 202,534 | ||||||||
|
| |||||||||
| 1,417,871 | ||||||||||
|
| |||||||||
| Materials (1.0%) | ||||||||||
| 90,000 | Allegheny Technologies, Inc.^ 5.875%, 12/01/27 | 85,696 | ||||||||
| 240,000 | ArcelorMittal, SAµ 7.250%, 10/15/39 | 319,349 | ||||||||
| 285,000 | First Quantum Minerals, Ltd.* 7.250%, 04/01/23 | 286,717 | ||||||||
Freeport-McMoRan, Inc. | ||||||||||
| 300,000 | 5.450%, 03/15/43 | 334,155 | ||||||||
| 285,000 | 5.000%, 09/01/27 | 304,178 | ||||||||
| 90,000 | 5.400%, 11/14/34µ | 101,250 | ||||||||
Kaiser Aluminum Corp.* | ||||||||||
| 125,000 | 4.625%, 03/01/28 | 124,471 | ||||||||
| 93,000 | 6.500%, 05/01/25 | 99,041 | ||||||||
| 75,000 | Mineral Resources, Ltd.* 8.125%, 05/01/27 | 82,982 | ||||||||
New Gold, Inc.* | ||||||||||
| 193,000 | 6.375%, 05/15/25 | 200,705 | ||||||||
| 50,000 | 7.500%, 07/15/27 | 54,384 | ||||||||
| 95,000 | Owens-Brockway Glass Container, Inc.*^ 6.625%, 05/13/27 | 103,779 | ||||||||
PBF Holding Company, LLC / PBF Finance Corp. | ||||||||||
| 465,000 | 7.250%, 06/15/25 | 420,128 | ||||||||
| 48,000 | 9.250%, 05/15/25* | 53,759 | ||||||||
| 80,000 | Silgan Holdings, Inc. 4.125%, 02/01/28 | 82,210 | ||||||||
| 290,000 | Trinseo Materials Operating, SCA* 5.375%, 09/01/25 | 287,017 | ||||||||
| 500,000 | Univar Solutions USA, Inc.*^ 5.125%, 12/01/27 | 528,877 | ||||||||
|
| |||||||||
| 3,468,698 | ||||||||||
|
| |||||||||
| Real Estate (0.1%) | ||||||||||
Forestar Group, Inc.* | ||||||||||
| 270,000 | 8.000%, 04/15/24 | 291,279 | ||||||||
| 139,000 | 5.000%, 03/01/28 | 138,803 | ||||||||
| 95,000 | Service Properties Trust 5.250%, 02/15/26 | 85,621 | ||||||||
|
| |||||||||
| 515,703 | ||||||||||
|
| |||||||||
| Utilities (1.4%) | ||||||||||
| 129,000 | Calpine Corp.*µ 4.500%, 02/15/28 | 134,855 | ||||||||
| 200,000 | CenterPoint Energy, Inc.µ‡ 6.125%, 09/01/23 3 mo. USD LIBOR + 3.27% | 198,965 | ||||||||
| 575,000 | CMS Energy Corp.‡ 4.750%, 06/01/50 5 year CMT + 4.12% | 615,072 | ||||||||
See accompanying Notes to Schedule of Investments
5
Long/Short Equity & Dynamic Income Trust
SCHEDULE OF INVESTMENTS JULY 31, 2020 (UNAUDITED)
| PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| 800,000 | Dominion Energy, Inc.µ‡ 4.650%, 12/15/24 5 year CMT + 2.99% | $ | 810,332 | |||||||
| 1,045,000 | Duke Energy Corp.µ‡ 4.875%, 09/16/24 5 year CMT + 3.39% | 1,089,757 | ||||||||
| 205,000 | National Rural Utilities Cooperative Finance Corp.µ‡ 5.250%, 04/20/46 3 mo. USD LIBOR + 3.63% | 221,465 | ||||||||
| 840,000 | NextEra Energy Capital Holdings, Inc.µ^‡ 4.800%, 12/01/77 3 mo. USD LIBOR + 2.41% | 889,472 | ||||||||
| 258,000 | PPL Capital Funding, Inc.µ‡ 2.973%, 03/30/67 3 mo. USD LIBOR + 2.67% | 195,396 | ||||||||
| 375,000 | Sempra Energy^‡ 4.875%, 10/15/25 5 year CMT + 4.55% | 388,159 | ||||||||
| 395,000 | WEC Energy Group, Inc.µ‡ 2.505%, 05/15/67 3 mo. USD LIBOR + 2.11% | 307,286 | ||||||||
|
| |||||||||
| 4,850,759 | ||||||||||
|
| |||||||||
TOTAL CORPORATE BONDS (Cost $117,242,138) | 114,849,080 | |||||||||
|
| |||||||||
|
| |||||||||
| CONVERTIBLE BOND (0.1%) | ||||||||||
| Consumer Discretionary (0.1%) | ||||||||||
| 333,000 | DISH Network Corp. 2.375%, 03/15/24 (Cost $304,310) | 306,345 | ||||||||
|
| |||||||||
|
| |||||||||
| BANK LOANS (2.9%) ¡ | ||||||||||
| Communication Services (0.4%) | ||||||||||
| 496,250 | Clear Channel Outdoor Holdings, Inc.‡ 3.761%, 08/21/26 3 mo. LIBOR + 3.50% | 443,576 | ||||||||
| 179,100 | iHeartCommunications, Inc.‡ 3.161%, 05/01/26 1 mo. LIBOR + 3.00% | 168,155 | ||||||||
| 500,000 | Intelsat Jackson Holdings, SA 8.625%, 01/02/24 | 505,803 | ||||||||
| 145,000 | Parexel International Corp.‡ 2.911%, 09/27/24 1 mo. LIBOR + 2.75% | 139,769 | ||||||||
| 54,991 | Townsquare Media, Inc.‡ 4.000%, 04/01/22 3 mo. LIBOR + 3.00% | 52,539 | ||||||||
|
| |||||||||
| 1,309,842 | ||||||||||
|
| |||||||||
| Consumer Discretionary (0.3%) | ||||||||||
| 223,080 | Michaels Stores, Inc.‡ 3.534%, 01/30/23 1 mo. LIBOR + 2.50% | 213,460 | ||||||||
| 172,340 | PetSmart, Inc.‡ 5.000%, 03/11/22 3 mo. LIBOR + 4.00% | 171,909 | ||||||||
| 266,357 | Staples, Inc.‡ 5.687%, 04/16/26 3 mo. LIBOR + 5.00% | 230,677 | ||||||||
| PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| 487,435 | Weight Watchers International, Inc.‡ 5.500%, 11/29/24 1 mo. LIBOR + 4.75% | $ | 485,364 | |||||||
|
| |||||||||
| 1,101,410 | ||||||||||
|
| |||||||||
| Energy (0.1%) | ||||||||||
| 209,342 | Par Pacific Holdings, Inc.‡ 7.020%, 01/12/26 3 mo. LIBOR + 6.75% | 185,268 | ||||||||
|
| |||||||||
| Financials (0.1%) | ||||||||||
| 239,400 | Connect Finco Sarl‡ 5.500%, 12/11/26 1 mo. LIBOR + 4.50% | 233,914 | ||||||||
|
| |||||||||
| Health Care (1.1%) | ||||||||||
| 953,463 | Amneal Pharmaceuticals, LLC‡ 3.688%, 05/04/25 1 mo. LIBOR + 3.50% | 900,426 | ||||||||
| 676,513 | Endo International, PLC‡ 5.000%, 04/29/24 3 mo. LIBOR + 4.25% | 649,953 | ||||||||
| 502,465 | Gentiva Health Services, Inc.‡ 3.438%, 07/02/25 1 mo. LIBOR + 3.25% | 496,499 | ||||||||
| 780,007 | Mallinckrodt International Finance, SA‡ 3.500%, 09/24/24 6 mo. LIBOR + 2.75% | 655,893 | ||||||||
| 661,321 | Ortho Clinical Diagnostics, SA‡ 3.416%, 06/30/25 1 mo. LIBOR + 3.25% | 644,788 | ||||||||
| 834,648 | Team Health Holdings, Inc.‡ 3.750%, 02/06/24 1 mo. LIBOR + 2.75% | 666,153 | ||||||||
|
| |||||||||
| 4,013,712 | ||||||||||
|
| |||||||||
| Industrials (0.5%) | ||||||||||
| 448,875 | Dun & Bradstreet Corp.‡ 3.922%, 02/06/26 1 mo. LIBOR + 3.75% | 447,519 | ||||||||
| 297,750 | Granite US Holdings Corp.‡ 6.322%, 09/30/26 3 mo. LIBOR + 5.25% | 262,764 | ||||||||
| 512,379 | Navistar International Corp.‡ 3.690%, 11/06/24 1 mo. LIBOR + 3.50% | 498,074 | ||||||||
| 686,489 | Scientific Games International, Inc.‡ 3.473%, 08/14/24 6 mo. LIBOR + 2.75% | 627,279 | ||||||||
|
| |||||||||
| 1,835,636 | ||||||||||
|
| |||||||||
| Information Technology (0.4%) | ||||||||||
| 297,733 | BMC Software Finance, Inc.‡ 4.411%, 10/02/25 1 mo. LIBOR + 4.25% | 288,171 | ||||||||
| 373,125 | Camelot U.S. Acquisition 1 Company‡ 3.161%, 10/30/26 1 mo. LIBOR + 3.00% | 366,362 | ||||||||
See accompanying Notes to Schedule of Investments
6
Long/Short Equity & Dynamic Income Trust
SCHEDULE OF INVESTMENTS JULY 31, 2020 (UNAUDITED)
| PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| 652,598 | VFH Parent, LLC‡ 3.178%, 03/01/26 1 mo. LIBOR + 3.00% | $ | 648,112 | |||||||
|
| |||||||||
| 1,302,645 | ||||||||||
|
| |||||||||
| Materials (0.0%) | ||||||||||
| 134,663 | Innophos, Inc.‡ 3.911%, 02/04/27 1 mo. LIBOR + 3.75% | 133,484 | ||||||||
|
| |||||||||
TOTAL BANK LOANS (Cost $10,359,227) | 10,115,911 | |||||||||
|
| |||||||||
|
| |||||||||
NUMBER OF SHARES |
|
| VALUE | |||||||
| CONVERTIBLE PREFERRED STOCKS (9.9%) | ||||||||||
| Communication Services (0.9%) | ||||||||||
AT&T, Inc.~ | ||||||||||
| 19,000 | 4.750%, 02/18/25 | 476,520 | ||||||||
| 15,800 | 5.350%, 11/01/66 | 419,016 | ||||||||
| 63,250 | Qwest Corp.^ 6.500%, 09/01/56 | 1,549,625 | ||||||||
| 15,650 | Telephone & Data Systems, Inc.~ 7.000%, 03/15/60 | 395,632 | ||||||||
| 15,175 | United States Cellular Corp.~ 7.250%, 12/01/64 | 389,390 | ||||||||
|
| |||||||||
| 3,230,183 | ||||||||||
|
| |||||||||
| Consumer Discretionary (0.1%) | ||||||||||
| 8,550 | Ford Motor Company~ 6.200%, 06/01/59 | 202,721 | ||||||||
|
| |||||||||
| Energy (0.5%) | ||||||||||
| 41,525 | Energy Transfer Operating, LP^‡ 7.625%, 08/15/23 3 mo. USD LIBOR + 4.74% | 765,306 | ||||||||
| 29,900 | NuStar Energy, LP‡~ 7.625%, 06/15/22 3 mo. USD LIBOR + 5.64% | 522,951 | ||||||||
| 28,750 | NuStar Logistics, LP^‡~ 7.009%, 01/15/43 3 mo. USD LIBOR + 6.73% | 579,025 | ||||||||
|
| |||||||||
| 1,867,282 | ||||||||||
|
| |||||||||
| Financials (5.9%) | ||||||||||
| 1,685 | Allstate Corp.^ 5.100%, 10/15/24 | 45,461 | ||||||||
| 42,950 | Arch Capital Group, Ltd.^ 5.250%, 09/29/21 | 1,094,366 | ||||||||
| 31,950 | Axis Capital Holdings, Ltd. 5.500%, 11/07/21 | 817,920 | ||||||||
| 1,580 | Bank of America Corp. ‡‡ 7.250% | 2,368,436 | ||||||||
Capital One Financial Corp.^ | ||||||||||
| 52,600 | 5.000%, 12/01/24 | 1,313,948 | ||||||||
| 8,776 | 4.800%, 06/01/25~ | 206,675 | ||||||||
| 25,300 | CIT Group, Inc.~ 5.625%, 12/15/24 | 562,925 | ||||||||
| 22,823 | Citizens Financial Group, Inc.^~ 5.000%, 01/06/25 | 566,239 | ||||||||
| 52,454 | JPMorgan Chase & Company^ 4.750%, 12/01/24 | 1,422,028 | ||||||||
| 23,218 | KeyCorp.^~ 5.650%, 12/15/23 | 625,261 | ||||||||
NUMBER OF SHARES |
|
| VALUE | |||||||
| 32,400 | Legg Mason, Inc. 5.450%, 09/15/56 | $ | 836,244 | |||||||
| 36,000 | MetLife, Inc. 4.750%, 03/15/25 | 925,200 | ||||||||
| 76,664 | Morgan Stanley^ 4.875%, 01/15/25 | 2,013,963 | ||||||||
| 8,550 | Northern Trust Corp.^~ 4.700%, 01/01/25 | 231,619 | ||||||||
| 31,600 | Oaktree Capital Group, LLC^ 6.550%, 09/15/23 | 849,408 | ||||||||
| 31,600 | Prospect Capital Corp.^ 6.250%, 06/15/24 | 795,372 | ||||||||
| 35,000 | Truist Financial Corp. 4.750%, 09/01/25 | 882,000 | ||||||||
Wells Fargo & Company | ||||||||||
| 74,625 | 4.750%, 03/15/25^ | 1,820,850 | ||||||||
| 1,580 | 7.500% ‡‡ | 2,135,370 | ||||||||
| 45,790 | WR Berkley Corp.^ 5.100%, 12/30/59 | 1,172,682 | ||||||||
|
| |||||||||
| 20,685,967 | ||||||||||
|
| |||||||||
| Industrials (0.2%) | ||||||||||
| 19,700 | Air Lease Corp.‡~ 6.150%, 03/15/24 3 mo. USD LIBOR + 3.65% | 433,400 | ||||||||
| 6,700 | QVC, Inc.^ 6.250%, 11/26/68 | 151,956 | ||||||||
|
| |||||||||
| 585,356 | ||||||||||
|
| |||||||||
| Real Estate (1.5%) | ||||||||||
| 16,375 | American Homes 4 Rent^~ 6.250%, 09/19/23 | 451,295 | ||||||||
Brookfield Property Partners, LP~ | ||||||||||
| 22,900 | 5.750%, 03/31/25 | 412,200 | ||||||||
| 15,300 | 6.375%, 09/30/24^ | 298,197 | ||||||||
| 15,800 | Digital Realty Trust, Inc.^~ 5.850%, 03/13/24 | 431,340 | ||||||||
| 17,100 | EPR Properties^~ 5.750%, 11/30/22 | 290,016 | ||||||||
| 33,200 | Federal Realty Investment Trust^ 5.000%, 09/29/22 | 849,588 | ||||||||
| 34,750 | Kimco Realty Corp.^~ 5.250%, 12/20/22 | 851,722 | ||||||||
| 16,750 | PS Business Parks, Inc.^~ 5.200%, 12/07/22 | 439,520 | ||||||||
| 30,345 | Public Storage^ 4.625%, 06/17/25 | 794,129 | ||||||||
| 16,600 | Spirit Realty Capital, Inc.^~ 6.000%, 10/03/22 | 419,150 | ||||||||
|
| |||||||||
| 5,237,157 | ||||||||||
|
| |||||||||
| Utilities (0.8%) | ||||||||||
| 15,800 | Algonquin Power & Utilities Corp.^‡~ 6.875%, 10/17/78 3 mo. USD LIBOR + 3.68% | 432,130 | ||||||||
| 19,000 | Brookfield Renewable Partners, LP~ 5.250%, 03/31/25 | 486,970 | ||||||||
| 16,150 | DTE Energy Company^~ 5.250%, 12/01/77 | 429,752 | ||||||||
| 4,300 | Entergy Arkansas, LLC~ 4.750%, 06/01/63 | 111,155 | ||||||||
| 17,035 | Entergy Louisiana, LLC~ 5.250%, 07/01/52 | 448,872 | ||||||||
See accompanying Notes to Schedule of Investments
7
Long/Short Equity & Dynamic Income Trust
SCHEDULE OF INVESTMENTS JULY 31, 2020 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
Southern Company^ | ||||||||||
| 32,400 | 5.250%, 10/01/76 | $ | 855,036 | |||||||
| 8,850 | 4.950%, 01/30/80~ | 231,870 | ||||||||
|
| |||||||||
| 2,995,785 | ||||||||||
|
| |||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $35,718,457) | 34,804,451 | |||||||||
|
| |||||||||
|
| |||||||||
| COMMON STOCKS (61.6%) | ||||||||||
| Communication Services (5.3%) | ||||||||||
| 5,200,000 | GBP | BT Group, PLC | 6,681,738 | |||||||
| 25,000 | Facebook, Inc. - Class A~# | 6,341,750 | ||||||||
| 487,000 | EUR | Orange, SA | 5,708,068 | |||||||
|
| |||||||||
| 18,731,556 | ||||||||||
|
| |||||||||
| Consumer Discretionary (4.3%) | ||||||||||
| 155,000 | Las Vegas Sands Corp. | 6,764,200 | ||||||||
| 301,500 | MGM Resorts International | 4,851,135 | ||||||||
| 73,000 | Royal Caribbean Cruises, Ltd. | 3,555,830 | ||||||||
|
| |||||||||
| 15,171,165 | ||||||||||
|
| |||||||||
| Consumer Staples (2.7%) | ||||||||||
| 120,000 | Coca-Cola Company | 5,668,800 | ||||||||
| 75,500 | Sysco Corp. | 3,990,175 | ||||||||
|
| |||||||||
| 9,658,975 | ||||||||||
|
| |||||||||
| Energy (9.4%) | ||||||||||
| 91,500 | Chevron Corp.~ | 7,680,510 | ||||||||
| 335,500 | Kinder Morgan, Inc. | 4,730,550 | ||||||||
| 207,600 | Marathon Petroleum Corp.~ | 7,930,320 | ||||||||
| 250,000 | Royal Dutch Shell, PLC - Class A^~ | 7,452,500 | ||||||||
| 270,000 | Williams Companies, Inc.~ | 5,165,100 | ||||||||
|
| |||||||||
| 32,958,980 | ||||||||||
|
| |||||||||
| Financials (7.2%) | ||||||||||
| 109,500 | Discover Financial Services | 5,412,585 | ||||||||
| 1,862,000 | GBP | Legal & General Group, PLC | 5,154,537 | |||||||
| 19,480,000 | GBP | Lloyds Banking Group, PLC | 6,637,039 | |||||||
| 5,918,000 | GBP | Natwest Group, PLC | 8,150,355 | |||||||
|
| |||||||||
| 25,354,516 | ||||||||||
|
| |||||||||
| Health Care (5.1%) | ||||||||||
| 48,000 | Baxter International, Inc. | 4,146,240 | ||||||||
| 157,000 | Boston Scientific Corp.~# | 6,055,490 | ||||||||
| 25,500 | UnitedHealth Group, Inc. | 7,720,890 | ||||||||
|
| |||||||||
| 17,922,620 | ||||||||||
|
| |||||||||
| Industrials (13.7%) | ||||||||||
| 230,000 | Air Lease Corp.^~ | 6,030,600 | ||||||||
| 22,500 | Boeing Company~ | 3,555,000 | ||||||||
| 185,000 | Delta Air Lines, Inc. | 4,619,450 | ||||||||
| 70,600 | L3Harris Technologies, Inc.~ | 11,884,098 | ||||||||
| 222,000 | Lyft, Inc. - Class A^~# | 6,489,060 | ||||||||
| 128,500 | Raytheon Technologies Corp.~ | 7,283,380 | ||||||||
| 46,600 | Union Pacific Corp.~ | 8,078,110 | ||||||||
|
| |||||||||
| 47,939,698 | ||||||||||
|
| |||||||||
| Information Technology (5.0%) | ||||||||||
| 49,500 | Applied Materials, Inc. | 3,184,335 | ||||||||
| 8,200 | Broadcom, Inc.~ | 2,597,350 | ||||||||
| NUMBER OF SHARES |
|
| VALUE | |||||||
| 27,800 | Fidelity National Information Services, Inc. | $ | 4,067,418 | |||||||
| 28,500 | Global Payments, Inc. | 5,073,570 | ||||||||
| 55,000 | Micron Technology, Inc.# | 2,753,025 | ||||||||
|
| |||||||||
| 17,675,698 | ||||||||||
|
| |||||||||
| Materials (1.5%) | ||||||||||
| 20,800 | Linde, PLC~ | 5,098,288 | ||||||||
|
| |||||||||
| Real Estate (7.4%) | ||||||||||
| 122,000 | American Campus Communities, Inc. | 4,348,080 | ||||||||
| 1,222,000 | GBP | British Land Company, PLC | 5,831,513 | |||||||
| 1,395,000 | GBP | Land Securities Group, PLC | 10,506,848 | |||||||
| 191,780 | MGM Growth Properties, LLC - Class A~ | 5,243,265 | ||||||||
|
| |||||||||
| 25,929,706 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS (Cost $246,213,597) | 216,441,202 | |||||||||
|
| |||||||||
|
| |||||||||
| EXCHANGE-TRADED FUNDS (7.7%) | ||||||||||
| Other (7.7%) | ||||||||||
| 2,600 | iShares iBoxx High Yield Corporate Bond ETF^ | 222,014 | ||||||||
| 143,500 | iShares MSCI Emerging Markets ETF^ | 6,212,115 | ||||||||
| 132,000 | iShares MSCI Mexico Capped ETF^ | 4,293,960 | ||||||||
| 574,500 | iShares MSCI United Kingdom ETF~ | 14,896,785 | ||||||||
| 31,100 | iShares Preferred & Income Securities ETF | 1,125,198 | ||||||||
| 2,100 | SPDR Bloomberg Barclays High Yield Bond ETF | 222,810 | ||||||||
|
| |||||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $32,925,519) | 26,972,882 | |||||||||
|
| |||||||||
|
| |||||||||
| NUMBER OF CONTRACTS/ NOTIONAL AMOUNT |
|
| VALUE | |||||||
| PURCHASED OPTIONS (0.7%) # | ||||||||||
| Consumer Discretionary (0.1%) | ||||||||||
| 3,015 | MGM Resorts International | |||||||||
| 4,851,135 | Call, 08/21/20, Strike $16.50 | 254,767 | ||||||||
| 295 | EUR | Moncler, S.p.A. | ||||||||
| 5,645,355 | Call, 09/17/20, Strike 35.00 | 140,736 | ||||||||
|
| |||||||||
| 395,503 | ||||||||||
|
| |||||||||
| Health Care (0.1%) | ||||||||||
| 360 | BioMarin Pharmaceutical, Inc. | |||||||||
| 4,313,160 | Call, 10/16/20, Strike $120.00 | 334,800 | ||||||||
|
| |||||||||
| Industrials (0.1%) | ||||||||||
| 370 | Honeywell International, Inc. | |||||||||
| 5,526,690 | Call, 08/21/20, Strike $155.00 | 45,695 | ||||||||
| 1,200 | Southwest Airlines Company | |||||||||
| 3,706,800 | Call, 08/21/20, Strike $34.00 | 56,400 | ||||||||
See accompanying Notes to Schedule of Investments
8
Long/Short Equity & Dynamic Income Trust
SCHEDULE OF INVESTMENTS JULY 31, 2020 (UNAUDITED)
| NUMBER OF CONTRACTS/ NOTIONAL AMOUNT |
|
| VALUE | |||||||
| 520 | Waste Management, Inc. | |||||||||
| 5,699,200 | Call, 08/21/20, Strike $110.00 | $ | 100,100 | |||||||
|
| |||||||||
| 202,195 | ||||||||||
|
| |||||||||
| Other (0.4%) | ||||||||||
| 2,520 | Invesco QQQ Trust Series | |||||||||
| 66,979,080 | Put, 08/21/20, Strike $255.00 | 687,960 | ||||||||
| 2,380 | SPDR S&P 500 ETF Trust | |||||||||
| 77,711,760 | Put, 08/21/20, Strike $315.00 | 693,770 | ||||||||
|
| |||||||||
| 1,381,730 | ||||||||||
|
| |||||||||
TOTAL PURCHASED OPTIONS (Cost $4,240,288) | 2,314,228 | |||||||||
|
| |||||||||
|
| |||||||||
| NUMBER OF SHARES |
|
| VALUE | |||||||
| SHORT TERM INVESTMENT (1.4%) | ||||||||||
| 4,923,696 | Morgan Stanley Institutional Liquidity Funds - Government Portfolio, 0.040%*** (Cost $4,923,696) | 4,923,696 | ||||||||
|
| |||||||||
|
| |||||||||
| | TOTAL INVESTMENTS (117.0%) (Cost $451,927,232) | 410,727,795 | ||||||||
|
| |||||||||
|
| |||||||||
| LIABILITIES, LESS OTHER ASSETS (-17.0%) | (59,618,104 | ) | ||||||||
|
| |||||||||
| NET ASSETS (100.0%) | $ | 351,109,691 | ||||||||
|
| |||||||||
|
| |||||||||
| COMMON STOCKS SOLD SHORT (-2.2%) # | ||||||||||
| Consumer Staples (-2.2%) | ||||||||||
| (19,800 | ) | Clorox Company | (4,682,898 | ) | ||||||
| (22,800 | ) | Walmart, Inc. | (2,950,320 | ) | ||||||
|
| |||||||||
TOTAL COMMON STOCKS SOLD SHORT (Cost $(6,133,219)) | (7,633,218 | ) | ||||||||
|
| |||||||||
|
| |||||||||
| EXCHANGE-TRADED FUNDS SOLD SHORT (-28.5%) # | ||||||||||
| Other (-28.5%) | ||||||||||
| (277,500 | ) | Consumer Staples Select Sector SPDR Fund | (17,399,250 | ) | ||||||
| (495,400 | ) | Financial Select Sector SPDR Fund | (11,904,462 | ) | ||||||
| (217,500 | ) | SPDR S&P 500 ETF Trust | (71,018,100 | ) | ||||||
|
| |||||||||
TOTAL EXCHANGE-TRADED FUNDS SOLD SHORT (Cost $(94,080,511)) | (100,321,812 | ) | ||||||||
|
| |||||||||
|
| |||||||||
| | TOTAL SECURITIES SOLD SHORT (Proceeds $100,213,730) | (107,955,030 | ) | |||||||
|
| |||||||||
|
| |||||||||
| NUMBER OF CONTRACTS/ NOTIONAL AMOUNT |
|
| VALUE | |||||||
| WRITTEN OPTIONS (-2.1%) # | ||||||||||
| Communication Services (-0.3%) | ||||||||||
| 35 | Alphabet, Inc. | |||||||||
| 5,207,825 | Put, 09/18/20, Strike $1,375.00 $ | (78,750 | ) | |||||||
| 250 | Facebook, Inc. | |||||||||
| 6,341,750 | Put, 09/18/20, Strike $200.00 | (29,125 | ) | |||||||
| 3,700 | EUR | Orange, SA | ||||||||
| 3,667,440 | Put, 12/18/20, Strike 12.00 | (1,043,841 | ) | |||||||
|
| |||||||||
| (1,151,716 | ) | |||||||||
|
| |||||||||
| Consumer Discretionary (-0.1%) | ||||||||||
| 6,030 | MGM Resorts International | |||||||||
| 9,702,270 | Call, 08/21/20, Strike $18.00 | (232,155 | ) | |||||||
| 295 | EUR | Moncler, S.p.A. | ||||||||
| 5,645,355 | Put, 09/17/20, Strike 31.00 | (211,972 | ) | |||||||
|
| |||||||||
| (444,127 | ) | |||||||||
|
| |||||||||
| Consumer Staples (0.0%) | ||||||||||
| 1,200 | Coca-Cola Company | |||||||||
| 5,668,800 | Put, 08/21/20, Strike $42.00 | (10,800 | ) | |||||||
|
| |||||||||
| Energy (0.0%) | ||||||||||
| 2,000 | Kinder Morgan, Inc. | |||||||||
| 2,820,000 | Put, 08/21/20, Strike $13.00 | (24,000 | ) | |||||||
|
| |||||||||
| Financials (-0.3%) | ||||||||||
| 1,150 | GBP | Legal & General Group, PLC | ||||||||
| 2,432,026 | Put, 12/18/20, Strike 2.80 | (1,066,917 | ) | |||||||
|
| |||||||||
| Health Care (0.0%) | ||||||||||
BioMarin Pharmaceutical, Inc. | ||||||||||
| 240 | ||||||||||
| 2,875,440 | Call, 08/21/20, Strike $140.00 | (18,600 | ) | |||||||
| 120 | ||||||||||
| 1,437,720 | Put, 10/16/20, Strike $110.00 | (58,200 | ) | |||||||
| 255 | Unitedhealth Group, Inc. | |||||||||
| 7,720,890 | Put, 08/21/20, Strike $270.00 | (32,002 | ) | |||||||
|
| |||||||||
| (108,802 | ) | |||||||||
|
| |||||||||
| Industrials (-0.1%) | ||||||||||
Honeywell International, Inc. | ||||||||||
| 370 | ||||||||||
| 5,526,690 | Put, 09/18/20, Strike $140.00 | (112,295 | ) | |||||||
| 350 | ||||||||||
| 5,227,950 | Put, 08/21/20, Strike $130.00 | (7,875 | ) | |||||||
| 400 | Southwest Airlines Company | |||||||||
| 1,235,600 | Put, 09/18/20, Strike $32.50 | (131,000 | ) | |||||||
| 520 | Waste Management, Inc. | |||||||||
| 5,699,200 | Put, 09/18/20, Strike $100.00 | (45,500 | ) | |||||||
|
| |||||||||
| (296,670 | ) | |||||||||
|
| |||||||||
| Information Technology (0.0%) | ||||||||||
| 94 | Lam Research Corp. | |||||||||
| 3,545,304 | Call, 07/31/20, Strike $360.00 | (151,575 | ) | |||||||
|
| |||||||||
| Other (-0.9%) | ||||||||||
| 5,350 | Financial Select Sector SPDR | |||||||||
| 11,904,462 | Fund | |||||||||
| Call, 07/31/20, Strike $24.00 | (32,201 | ) | ||||||||
Invesco QQQ Trust Series | ||||||||||
| 2,520 | ||||||||||
| 66,979,080 | Put, 08/21/20, Strike $230.00 | (102,060 | ) | |||||||
See accompanying Notes to Schedule of Investments
9
Long/Short Equity & Dynamic Income Trust
SCHEDULE OF INVESTMENTS JULY 31, 2020 (UNAUDITED)
| NUMBER OF CONTRACTS/ NOTIONAL AMOUNT |
|
| VALUE | |||||||
| 2,520 | ||||||||||
| 66,979,080 | Put, 09/18/20, Strike $230.00 | $ | (521,640 | ) | ||||||
| 1,435 | iShares MSCI Emerging Markets | |||||||||
| 6,212,115 | Put, 12/18/20, Strike $40.00 | (246,820 | ) | |||||||
| 1,320 | iShares MSCI Mexico Capped | |||||||||
| 4,293,960 | ETF | |||||||||
| Put, 01/15/21, Strike $40.00 | (1,128,600 | ) | ||||||||
| 2,000 | iShares Russell 2000 ETF | |||||||||
| 29,472,000 | Put, 08/21/20, Strike $120.00 | (34,000 | ) | |||||||
SPDR S&P 500 ETF Trust | ||||||||||
| 2,380 | ||||||||||
| 77,711,760 | Put, 09/18/20, Strike $295.00 | (802,060 | ) | |||||||
| 1,190 | ||||||||||
| 38,855,880 | Put, 08/07/20, Strike $317.00 | (108,290 | ) | |||||||
|
| |||||||||
| (2,975,671 | ) | |||||||||
|
| |||||||||
| Real Estate (-0.4%) | ||||||||||
| 865 | American Campus Communities, | |||||||||
| 3,082,860 | Inc. | |||||||||
| Put, 08/21/20, Strike $30.00 | (15,138 | ) | ||||||||
| 725 | GBP | British Land Company, PLC | ||||||||
| 2,654,225 | Put, 12/18/20, Strike 5.00 | (1,279,997 | ) | |||||||
|
| |||||||||
| (1,295,135 | ) | |||||||||
|
| |||||||||
TOTAL WRITTEN OPTIONS (Premium $5,623,872) | (7,525,413 | ) | ||||||||
|
| |||||||||
|
| |||||||||
NOTES TO SCHEDULE OF INVESTMENTS
| * | Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (“QIBs”), such as the Fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted from such registration requirements. |
| µ | Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $38,356,119. |
| ^ | Security, or portion of security, is on loan. |
| @ | In default status and considered non-income producing. |
| ‡ | Variable rate security. The rate shown is the rate in effect at July 31, 2020. |
| ¡ | Bank loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of bank loans may be substantially less than the stated maturities shown. |
| ~ | Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for written options. The aggregate value of such securities is $71,267,610. |
| ‡‡ | Perpetual maturity. |
| # | Non-income producing security. |
| *** | The rate disclosed is the 7 day net yield as of July 31, 2020. |
FOREIGN CURRENCY ABBREVIATIONS
| EUR | European Monetary Unit |
| GBP | British Pound Sterling |
Note: Value for securities denominated in foreign currencies is shown in U.S. dollars. The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.
See accompanying Notes to Schedule of Investments
10
Note 1 – Organization and Significant Accounting Policies
Organization. Calamos Long/Short Equity & Dynamic Income Trust (the “Fund”) was organized as a Delaware statutory trust on September 21, 2017 and is registered under the Investment Company Act of 1940 (the “1940 Act”) as a diversified, closed-end management investment company. The Fund commenced operations on November 29, 2019.
The Fund will invest, under normal circumstances, at least of 80% of its managed assets in a globally diversified portfolio comprised of equity securities which are defined to include common stock, preferred stock, convertible securities and exchange-traded funds (“ETFs”) ( the “Equity Sleeve”), as well as long and short equity positions managed pursuant to a long/short equity strategy (the “Long/Short Component”). The Long/Short Component will comprise at least 50% of the Fund’s managed assets with a focus on absolute returns in a risk-managed format. The Fund may invest up to 20% of its managed assets opportunistically in globally diversified income-producing securities, including high-yield and investment grade corporate securities, leveraged loans, distressed debt securities, securitized products, U.S. Treasuries and sovereign debt issued by foreign governments (the “Fixed Income Sleeve”). Under current market conditions, it is anticipated that the Fund will invest initially 80% of its managed assets in the Equity Sleeve, consisting of equities, of which 60% will be invested in the Long/Short Component, and 20% of its managed assets in the Fixed Income Sleeve. “Managed assets” means the Fund’s total assets (including any assets attributable to any financial leverage that may be outstanding) minus the sum of liabilities (other than debt representing financial leverage).
Significant Accounting Policies. The Schedule of Investments has been prepared in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following summarizes the significant accounting policies of the Fund:
In March 2017, FASB issued ASU No. 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The ASU shortens the amortization period for certain callable debt securities held at a premium. The Fund adopted this ASU as of November 1, 2019, with no material impact on the Fund’s Schedule of Investments.
Fund Valuation. The valuation of the Fund’s investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.
Fund securities that are traded on U.S. securities exchanges, except option securities, are valued at the official closing price, which is the last current reported sales price on its principal exchange at the time each Fund determines its net asset value (“NAV”). Securities traded in the over-the-counter market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time the Fund determines its NAV. When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in the over-the-counter market are valued at the mean between the most recent bid and asked quotations on its principal exchange in accordance with guidelines adopted by the board of trustees. Each option security traded on a U.S. securities exchange is valued at the mid-point of the consolidated bid/ask quote for the option security, also in accordance with guidelines adopted by the board of trustees. Each over-the-counter option that is not traded through the Options Clearing Corporation is valued either by an independent pricing agent approved by the board of trustees or based on a quotation provided by the counterparty to such option under the ultimate supervision of the board of trustees.
Fixed income securities, bank loans, certain convertible preferred securities, and non-exchange traded derivatives are normally valued by independent pricing services or by dealers or brokers who make markets in such securities. Valuations of such fixed income securities, bank loans, certain convertible preferred securities, and non-exchange traded derivatives consider yield or price of equivalent securities of comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.
Trading on European and Far Eastern exchanges and over-the-counter markets is typically completed at various times before the close of business on each day on which the New York Stock Exchange (“NYSE”) is open. Each security trading on these exchanges or in over-the-counter markets may be valued utilizing a systematic fair valuation model provided by an independent pricing service approved by the board of trustees. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet the criteria, or that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the Fund determines its NAV, or when reliable market prices or quotations are not readily available, at the mean between the most recent bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading of foreign securities may not take place on every NYSE business day. In addition, trading may take place in various foreign markets on Saturdays or on other days when the NYSE is not open and on which the Fund’s NAV is not calculated.
If the pricing committee determines that the valuation of a security in accordance with the methods described above is not reflective of a fair value for such security, the security is valued at a fair value by the pricing committee, under the ultimate supervision of the board of trustees, following the guidelines and/or procedures adopted by the board of trustees.
The Fund also may use fair value pricing, pursuant to guidelines adopted by the board of trustees and under the ultimate supervision of the board of trustees, if trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the Fund’s pricing time but after the close of the primary market or exchange on which the security is listed. Those procedures may utilize valuations furnished by pricing services approved by the board of trustees, which may be based on market transactions for comparable securities and various relationships between securities that are generally recognized by institutional traders, a computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those securities.
When fair value pricing of securities is employed, the prices of securities used by a Fund to calculate its NAV may differ from market quotations or official closing prices. There can be no assurance that the Fund could purchase or sell a portfolio security at the price used to calculate the Fund’s net asset value (“NAV”).
Foreign Currency Translation. Values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a rate quoted by a major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service.
Option Transactions. For hedging and investment purposes, the Fund may purchase or write (sell) put and call options. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of premium and change in value should the counterparty not perform under the contract. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.
Note 2 – Investments
The cost basis of investments for federal income tax purposes at July 31, 2020 was as follows*:
Cost basis of investments | $346,089,630 | ||||
|
| ||||
Gross unrealized appreciation | 12,796,934 | ||||
Gross unrealized depreciation | (63,639,212) | ||||
|
| ||||
Net unrealized appreciation (depreciation) | $(50,842,278) | ||||
|
|
* Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report.
Note 3 – Short Sales
Securities sold short represent obligations to deliver the securities at a future date. The Fund may sell a security it does not own in anticipation of a decline in the value of that security before the delivery date. When a Fund sells a security short, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. Dividends paid on securities sold short are disclosed as an expense on the Statement of Operations. A gain, limited to the price at which a Fund sold the security short, or a loss, unlimited in size, will be realized upon the termination of a short sale.
To secure its obligation to deliver to the broker-dealer the securities sold short, the Fund must segregate an amount of cash or liquid securities with its custodian equal to any excess of the current market value of the securities sold short over any cash or liquid securities deposited as collateral with the broker in connection with the short sale (not including the proceeds of the short sale). As a result of that requirement, the Fund will not gain any leverage merely by selling short, except to the extent that it earns interest or other income or gains on the segregated cash or liquid securities while also being subject to the possibility of gain or loss from the securities sold short.